Zobrazeno 1 - 10
of 219
pro vyhledávání: '"P. Figueroa-López"'
For a multidimensional It\^o semimartingale, we consider the problem of estimating integrated volatility functionals. Jacod and Rosenbaum (2013) studied a plug-in type of estimator based on a Riemann sum approximation of the integrated functional and
Externí odkaz:
http://arxiv.org/abs/2407.09759
A novel high-frequency market-making approach in discrete time is proposed that admits closed-form solutions. By taking advantage of demand functions that are linear in the quoted bid and ask spreads with random coefficients, we model the variability
Externí odkaz:
http://arxiv.org/abs/2405.11444
Many methods for estimating integrated volatility and related functionals of semimartingales in the presence of jumps require specification of tuning parameters for their use in practice. In much of the available theory, tuning parameters are assumed
Externí odkaz:
http://arxiv.org/abs/2311.00905
Publikováno v:
Polymer Testing, Vol 142, Iss , Pp 108660- (2025)
For the past decades, polymers such as polypropylene (PP) and polyvinyl chloride have replaced metals as the main material for automotive instrument panel construction. However, their high sensitivity to temperature and strain rate can result in malf
Externí odkaz:
https://doaj.org/article/1b942c9219284b49b8511f1fb4ef3a20
Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than two decades. One of the most well-known and widely studied problems has been the estimation of the quadratic variation
Externí odkaz:
http://arxiv.org/abs/2209.10128
Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than a decade. One of the most well-known and widely studied problems is that of estimation of the quadratic variation of th
Externí odkaz:
http://arxiv.org/abs/2202.00877
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental price and t
Externí odkaz:
http://arxiv.org/abs/2101.03086
We propose a new method for the estimation of a semiparametric tempered stable L\'{e}vy model. The estimation procedure combines iteratively an approximate semiparametric method of moment estimator, Truncated Realized Quadratic Variations (TRQV), and
Externí odkaz:
http://arxiv.org/abs/2101.00565
In this paper we are concerned with the asymptotic behavior of nonautonomous fractional approximations of oscillon equation $$ u_{tt}-\mu(t)\Delta u+\omega(t)u_t=f(u),\ x\in\Omega,\ t\in\mathbb{R}, $$ subject to Dirichlet boundary condition on $\part
Externí odkaz:
http://arxiv.org/abs/2006.03192
Autor:
Figueroa-López, José E., Wu, Bei
We first revisit the problem of estimating the spot volatility of an It\^o semimartingale using a kernel estimator. We prove a Central Limit Theorem with optimal convergence rate for a general two-sided kernel. Next, we introduce a new pre-averaging/
Externí odkaz:
http://arxiv.org/abs/2004.01865